Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Legrand SA backtest
10 trend-following strategies were compared on the full daily history of Legrand SA. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.5%, MDD -35.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.9%, drawdown -60.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.5%, MDD -35.2%, Sharpe 0.62, 65% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 25.2%p (CAGR 10.5%, MDD -35.2%, exposure 65%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=96, slow=142 |
10.5% | -35.2% | 0.62 | 0.30 | 7.6x | 43 | 65% |
| ROC 모멘텀 n=107, threshold=-0.03 |
6.5% | -39.7% | 0.42 | 0.16 | 3.6x | 140 | 72% |
| EMA 크로스오버 fast=48, slow=50 |
6.0% | -31.7% | 0.41 | 0.19 | 3.3x | 50 | 64% |
| Donchian 채널 돌파 entryN=51, exitN=77 |
6.1% | -36.5% | 0.40 | 0.17 | 3.3x | 34 | 70% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=21, mult=3.6 |
0.2% | -2.8% | 0.16 | 0.06 | 1.0x | 2 | 0% |
| Supertrend period=8, mult=3.6 |
-0.2% | -43.5% | 0.08 | -0.00 | 1.0x | 114 | 56% |
| MACD fast=28, slow=47, signal=22 |
-0.4% | -52.0% | 0.06 | -0.01 | 0.9x | 186 | 49% |
| 볼린저 밴드 돌파 n=57, k=2.2 |
-0.9% | -37.7% | -0.00 | -0.02 | 0.8x | 80 | 35% |
| ADX / DI 방향성 period=33, threshold=21 |
-0.3% | -17.2% | -0.03 | -0.02 | 0.9x | 20 | 6% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-5.9% | -82.1% | -0.23 | -0.07 | 0.3x | 200 | 56% |
| Buy and hold | 8.9% | -60.5% | 0.44 | 0.15 | 5.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 96-day average price crosses above the 142-day average
- Sell — Sell (to cash) when the 96-day average falls below the 142-day average